Yes, we do the same with cold. It's not for seasons, though. It's because humans live everywhere and need to be able to adapt. But it's counterproductive to be very good at keeping yourself warm if you live in the tropics. While it's not very useful to be able to shed heat efficiently in the polar regions.

On another note, you can build tolerance to capsaicin, the chemical responsible for spicy foods. So you can build tolerance to 2 kinds of heat!